LangevinEvolution.java
- package org.drip.sample.ckls;
- import org.drip.dynamics.ito.R1WienerDriver;
- import org.drip.dynamics.physical.LangevinEvolver;
- import org.drip.numerical.common.FormatUtil;
- import org.drip.service.env.EnvManager;
- /*
- * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
- */
- /*!
- * Copyright (C) 2020 Lakshmi Krishnamurthy
- * Copyright (C) 2019 Lakshmi Krishnamurthy
- *
- * This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
- * asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
- * analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
- * equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
- * numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
- * and computational support.
- *
- * https://lakshmidrip.github.io/DROP/
- *
- * DROP is composed of three modules:
- *
- * - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
- * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
- * - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
- *
- * DROP Product Core implements libraries for the following:
- * - Fixed Income Analytics
- * - Loan Analytics
- * - Transaction Cost Analytics
- *
- * DROP Portfolio Core implements libraries for the following:
- * - Asset Allocation Analytics
- * - Asset Liability Management Analytics
- * - Capital Estimation Analytics
- * - Exposure Analytics
- * - Margin Analytics
- * - XVA Analytics
- *
- * DROP Computational Core implements libraries for the following:
- * - Algorithm Support
- * - Computation Support
- * - Function Analysis
- * - Model Validation
- * - Numerical Analysis
- * - Numerical Optimizer
- * - Spline Builder
- * - Statistical Learning
- *
- * Documentation for DROP is Spread Over:
- *
- * - Main => https://lakshmidrip.github.io/DROP/
- * - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
- * - GitHub => https://github.com/lakshmiDRIP/DROP
- * - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
- * - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
- * - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
- * - Release Versions => https://lakshmidrip.github.io/DROP/version.html
- * - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
- * - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
- * - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
- * - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
- *
- * Licensed under the Apache License, Version 2.0 (the "License");
- * you may not use this file except in compliance with the License.
- *
- * You may obtain a copy of the License at
- * http://www.apache.org/licenses/LICENSE-2.0
- *
- * Unless required by applicable law or agreed to in writing, software
- * distributed under the License is distributed on an "AS IS" BASIS,
- * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
- *
- * See the License for the specific language governing permissions and
- * limitations under the License.
- */
- /**
- * <i>LangevinEvolver</i> implements the Noisy Elastic Relaxation Process in a Friction-Thermal Background.
- * The References are:
- *
- * <br><br>
- * <ul>
- * <li>
- * Doob, J. L. (1942): The Brownian Movement and Stochastic Equations <i>Annals of Mathematics</i>
- * <b>43 (2)</b> 351-369
- * </li>
- * <li>
- * Gardiner, C. W. (2009): <i>Stochastic Methods: A Handbook for the Natural and Social Sciences
- * 4<sup>th</sup> Edition</i> <b>Springer-Verlag</b>
- * </li>
- * <li>
- * Kadanoff, L. P. (2000): <i>Statistical Physics: Statics, Dynamics, and Re-normalization</i>
- * <b>World Scientific</b>
- * </li>
- * <li>
- * Karatzas, I., and S. E. Shreve (1991): <i>Brownian Motion and Stochastic Calculus 2<sup>nd</sup>
- * Edition</i> <b>Springer-Verlag</b>
- * </li>
- * <li>
- * Risken, H., and F. Till (1996): <i>The Fokker-Planck Equation – Methods of Solution and
- * Applications</i> <b>Springer</b>
- * </li>
- * </ul>
- *
- * <br><br>
- * <ul>
- * <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
- * <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/FixedIncomeAnalyticsLibrary.md">Fixed Income Analytics</a></li>
- * <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/README.md">DROP API Construction and Usage</a></li>
- * <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/ckls/README.md">Analysis of CKLS Process Variants</a></li>
- * </ul>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class LangevinEvolution
- {
- public static final void main (
- final String[] argumentArray)
- throws Exception
- {
- EnvManager.InitEnv (
- ""
- );
- double timeWidth = 1.;
- double temperature = 300.;
- double restLength = 1.e-10;
- double initialLength = 3.e-10;
- double dampingCoefficient = 0.5;
- double elasticityCoefficient = 1.0;
- double[] timeArray =
- {
- 0.0,
- 0.5,
- 1.0,
- 1.5,
- 2.0,
- 2.5,
- 3.0,
- 3.5,
- 4.0,
- 4.5,
- 5.0,
- 5.5,
- 6.0,
- 6.5,
- 7.0,
- 7.5,
- 8.0,
- 8.5,
- 9.0,
- 9.5
- };
- System.out.println (
- "\t|-----------------------------------------------------------||"
- );
- System.out.println (
- "\t| LANGEVIN SYSTEM EVOLUTION ||"
- );
- System.out.println (
- "\t|-----------------------------------------------------------||"
- );
- System.out.println (
- "\t| Temperature => " + temperature
- );
- System.out.println (
- "\t| Rest Length => " + restLength
- );
- System.out.println (
- "\t| Damping Coefficient => " + dampingCoefficient
- );
- System.out.println (
- "\t| Elasticity Coefficient => " + elasticityCoefficient
- );
- System.out.println (
- "\t|-----------------------------------------------------------||"
- );
- R1WienerDriver wienerDriver = new R1WienerDriver (
- timeWidth
- );
- LangevinEvolver langevinEvolver = new LangevinEvolver (
- elasticityCoefficient,
- dampingCoefficient,
- restLength,
- temperature,
- wienerDriver
- );
- System.out.println (
- "\t| Correlation Time => " + langevinEvolver.correlationTime()
- );
- System.out.println (
- "\t| Diffusion Coefficient => " + langevinEvolver.stokesEinsteinEffectiveDiffusionCoefficient()
- );
- System.out.println (
- "\t| Equi-Partition Energy => " + langevinEvolver.equiPartitionEnergy()
- );
- System.out.println (
- "\t| Volatility => " + langevinEvolver.cklsParameters().volatilityCoefficient()
- );
- System.out.println (
- "\t| Mean-Reversion Level => " + langevinEvolver.cklsParameters().meanReversionLevel()
- );
- System.out.println (
- "\t| Mean-Reversion Speed => " + langevinEvolver.cklsParameters().meanReversionSpeed()
- );
- System.out.println (
- "\t|-----------------------------------------------------------||"
- );
- System.out.println();
- System.out.println (
- "\t|-----------------------------------------------------------||"
- );
- for (double time : timeArray)
- {
- System.out.println (
- "\t| " + FormatUtil.FormatDouble (time, 1, 1, 1.) + " => " +
- FormatUtil.FormatDouble (
- langevinEvolver.fluctuationCorrelation (
- time
- ), 1, 5, 1.
- ) + " | " + FormatUtil.FormatDouble (
- langevinEvolver.fluctuationCovariance (
- time
- ), 1, 25, 1.
- ) + " | " + FormatUtil.FormatDouble (
- langevinEvolver.mean (
- initialLength,
- time
- ), 1, 15, 1.
- )
- );
- }
- System.out.println (
- "\t|-----------------------------------------------------------||"
- );
- System.out.println();
- double[][] aitSahaliaMLEAsymptote = langevinEvolver.aitSahaliaMLEAsymptote (
- 1.
- );
- System.out.println (
- "\t|---------------------------------||"
- );
- System.out.println (
- "\t| AIT SAHALIA MLE ASYMPTOTE ERROR ||"
- );
- System.out.println (
- "\t|---------------------------------||"
- );
- org.drip.numerical.common.NumberUtil.Print2DArray (
- "\t|\t",
- aitSahaliaMLEAsymptote,
- false
- );
- System.out.println (
- "\t|---------------------------------||"
- );
- EnvManager.TerminateEnv();
- }
- }